public void Initialize()
{
_algorithm = new QCAlgorithm();
_algorithm.SetBrokerageModel(BrokerageName.FxcmBrokerage);
_algorithm.SetCash(100000);
_algorithm.AddSecurity(SecurityType.Forex, Ticker);
_algorithm.SetFinishedWarmingUp();
}
public void Setup()
{
_algo = new QCAlgorithm();
var historyProvider = new SubscriptionDataReaderHistoryProvider();
historyProvider.Initialize(null,
new LocalDiskMapFileProvider(),
new LocalDiskFactorFileProvider(),
new DefaultDataFileProvider(),
null);
_algo.HistoryProvider = historyProvider;
_security = new Security(SecurityExchangeHours.AlwaysOpen(DateTimeZone.Utc),
_config,
new Cash(CashBook.AccountCurrency, 0, 1m),
SymbolProperties.GetDefault(CashBook.AccountCurrency));
_brokerageInitializer = new BrokerageModelSecurityInitializer(new DefaultBrokerageModel(),
new FuncSecuritySeeder(_algo.GetLastKnownPrice));
}
/// <summary>
/// Initializes a new instance of the <see cref="DollarVolumeUniverseDefinitions"/> class
/// </summary>
/// <param name="algorithm">The algorithm instance, used for obtaining the default <see cref="UniverseSettings"/></param>
public DollarVolumeUniverseDefinitions(QCAlgorithm algorithm)
{
_algorithm = algorithm;
}
/// <summary>
/// Parameter constructor to inject the algorithm to report from
/// </summary>
/// <param name="algorithm">the algorithm running</param>
public TradeBarReporter(QCAlgorithm algorithm)
{
_algorithm = algorithm;
_logHandler = Composer.Instance.GetExportedValueByTypeName <ILogHandler>("CustomFileLogHandler");
HasPrintedHeading = false;
}
/// <summary>
/// Initializes a new instance of the <see cref="DollarVolumeUniverseDefinitions"/> class
/// </summary>
/// <param name="algorithm">The algorithm instance, used for obtaining the default <see cref="UniverseSettings"/></param>
public DollarVolumeUniverseDefinitions(QCAlgorithm algorithm)
{
_algorithm = algorithm;
}
public void SetHoldings_Short_RoundOff()
{
var algo = new QCAlgorithm();
algo.AddSecurity(SecurityType.Forex, "EURUSD");
algo.SetCash(100000);
algo.SetBrokerageModel(BrokerageName.FxcmBrokerage);
algo.Securities[Symbols.EURUSD].TransactionModel = new ConstantFeeTransactionModel(0);
Security eurusd = algo.Securities[Symbols.EURUSD];
// Set Price to $26
Update(eurusd, 26);
// So -100000/26 = -3846, After Rounding off becomes -3000
var actual = algo.CalculateOrderQuantity(Symbols.EURUSD, -1m);
Assert.AreEqual(-3000m, actual);
}
public OrderTransactionFactory(QCAlgorithm algorithm)
{
_algorithm = algorithm;
}
/// <summary>
/// Initializes a new instance of the <see cref="CandlestickPatterns"/> class
/// </summary>
/// <param name="algorithm">The algorithm instance</param>
public CandlestickPatterns(QCAlgorithm algorithm)
{
_algorithm = algorithm;
}
private QCAlgorithm GetAlgorithm(out Security msft, decimal initialMarginRequirement, decimal maintenanceMarginRequirement, decimal fee)
{
//Initialize algorithm
var algo = new QCAlgorithm();
algo.AddSecurity(SecurityType.Equity, "MSFT");
algo.SetCash(100000);
algo.Securities[Symbols.MSFT].TransactionModel = new ConstantFeeTransactionModel(fee);
msft = algo.Securities[Symbols.MSFT];
msft.MarginModel = new SecurityMarginModel(initialMarginRequirement, maintenanceMarginRequirement);
return algo;
}
/// <summary>
/// Initializes a new instance of the <see cref="CandlestickPatterns"/> class
/// </summary>
/// <param name="algorithm">The algorithm instance</param>
public CandlestickPatterns(QCAlgorithm algorithm)
{
_algorithm = algorithm;
}
/// <summary>
/// Initializes a new instance of the <see cref="UniverseDefinitions"/> class
/// </summary>
/// <param name="algorithm">The algorithm instance, used for obtaining the default <see cref="UniverseSettings"/></param>
public UniverseDefinitions(QCAlgorithm algorithm)
{
DollarVolume = new DollarVolumeUniverseDefinitions(algorithm);
Index = new IndexUniverseDefinitions(algorithm);
Constituent = new ConstituentUniverseDefinitions(algorithm);
}
//[Test]
//public void SetHoldings_LongToLonger_PriceRise()
//{
// var algo = GetAlgorithm();
// //Set price to $25
// algo.Securities.Update(DateTime.Now, Update("MSFT", 25));
// //Half cash spent on 2000 MSFT shares.
// algo.Portfolio.SetCash(50000);
// algo.Portfolio["MSFT"].SetHoldings(25, 2000);
// //Price rises to $50.
// algo.Securities.Update(DateTime.Now, Update("MSFT", 50));
// //Now: 2000 * 50 = $100k Holdings, $50k Cash: $150k. MSFT is already 66% of holdings.
// //Calculate the order for 75% MSFT:
// var actual = algo.CalculateOrderQuantity("MSFT", 0.75m);
// //Need to buy to make position $112.5k == $12.5k / 50 = 250 shares
// Assert.AreEqual(250, actual);
//}
//[Test]
//public void SetHoldings_LongerToLong_PriceRise()
//{
// var algo = GetAlgorithm();
// //Set price to $25
// algo.Securities.Update(DateTime.Now, Update("MSFT", 25));
// //75% cash spent on 3000 MSFT shares.
// algo.Portfolio.SetCash(25000);
// algo.Portfolio["MSFT"].SetHoldings(25, 3000);
// //Price rises to $50.
// algo.Securities.Update(DateTime.Now, Update("MSFT", 50));
// //Now: 3000 * 50 = $150k Holdings, $25k Cash: $175k. MSFT is 86% of holdings.
// //Calculate the order for 50% MSFT:
// var actual = algo.CalculateOrderQuantity("MSFT", 0.5m);
// //Need to sell to 50% = 87.5k target from $150k = 62.5 / $50-share = 1250
// Assert.AreEqual(-1250, actual);
//}
//[Test]
//public void SetHoldings_LongToShort_PriceRise()
//{
// var algo = GetAlgorithm();
// //Set price to $25
// algo.Securities.Update(DateTime.Now, Update("MSFT", 25));
// //Half cash spent on 2000 MSFT shares.
// algo.Portfolio.SetCash(50000);
// algo.Portfolio["MSFT"].SetHoldings(25, 2000);
// //Price rises to $50.
// algo.Securities.Update(DateTime.Now, Update("MSFT", 50));
// //Now: 2000 * 50 = $100k Holdings, $50k Cash: $150k. MSFT is 66% of holdings.
// var actual = algo.CalculateOrderQuantity("MSFT", -0.5m);
// // Need to hold -75k from $100k = delta: $175k / $50-share = -3500 shares.
// Assert.AreEqual(-3500, actual);
//}
//[Test]
//public void SetHoldings_ShortToShorter_PriceRise()
//{
// var algo = GetAlgorithm();
// //Set price to $25
// algo.Securities.Update(DateTime.Now, Update("MSFT", 25));
// //Half cash spent on -2000 MSFT shares.
// algo.Portfolio.SetCash(50000);
// algo.Portfolio["MSFT"].SetHoldings(25, -2000);
// //Price rises to $50.
// algo.Securities.Update(DateTime.Now, Update("MSFT", 50));
// //Now: 2000 * 50 = $0k Net Holdings, $50k Cash: $50k. MSFT is 0% of holdings.
// var actual = algo.CalculateOrderQuantity("MSFT", -0.75m);
// //Want to hold -75% of MSFT: 50k total, -37.5k / $50-share = -750 TOTAL.
// // Currently -2000, so net order +1250.
// Assert.AreEqual(1250, actual);
//}
//[Test]
//public void SetHoldings_ShortToLong_PriceRise()
//{
// var algo = GetAlgorithm();
// //Set price to $25
// algo.Securities.Update(DateTime.Now, Update("MSFT", 25));
// //Half cash spent on -2000 MSFT shares.
// algo.Portfolio.SetCash(50000);
// algo.Portfolio["MSFT"].SetHoldings(25, -2000);
// //Price rises to $50.
// algo.Securities.Update(DateTime.Now, Update("MSFT", 50));
// //Now: 2000 * 50 = $0k Net Holdings, $50k Cash: $50k. MSFT is 0% of holdings.
// var actual = algo.CalculateOrderQuantity("MSFT", 0.5m);
// //We want to be 50% long, this is currently +2000 holdings + 50% 50k = $25k/ $50-share=500
// Assert.AreEqual(2500, actual);
//}
private QCAlgorithm GetAlgorithm()
{
//Initialize algorithm
var algo = new QCAlgorithm();
algo.AddSecurity(SecurityType.Equity, "MSFT");
algo.SetCash(100000);
algo.Securities["MSFT"].TransactionModel = new ConstantFeeTransactionModel(0);
return algo;
}
public OrderReporter(QCAlgorithm algorithm)
{
_algorithm = algorithm;
_logHandler = Composer.Instance.GetExportedValueByTypeName<ILogHandler>("TransactionFileLogHandler");
}
public void Setup()
{
_algo = new QCAlgorithm();
SymbolCache.TryRemove(ForexSym);
SymbolCache.TryRemove(Sym);
}
public Contract_ES(QCAlgorithm Algorithm_ES)
{
_Algorithm_ES = Algorithm_ES;
}
//[Test]
//public void SetHoldings_LongToLonger_PriceRise()
//{
// var algo = GetAlgorithm();
// //Set price to $25
// Update(msft, 25));
// //Half cash spent on 2000 MSFT shares.
// algo.Portfolio.SetCash(50000);
// algo.Portfolio[Symbols.MSFT].SetHoldings(25, 2000);
// //Price rises to $50.
// Update(msft, 50));
// //Now: 2000 * 50 = $100k Holdings, $50k Cash: $150k. MSFT is already 66% of holdings.
// //Calculate the order for 75% MSFT:
// var actual = algo.CalculateOrderQuantity(Symbols.MSFT, 0.75m);
// //Need to buy to make position $112.5k == $12.5k / 50 = 250 shares
// Assert.AreEqual(250, actual);
//}
//[Test]
//public void SetHoldings_LongerToLong_PriceRise()
//{
// var algo = GetAlgorithm();
// //Set price to $25
// Update(msft, 25));
// //75% cash spent on 3000 MSFT shares.
// algo.Portfolio.SetCash(25000);
// algo.Portfolio[Symbols.MSFT].SetHoldings(25, 3000);
// //Price rises to $50.
// Update(msft, 50));
// //Now: 3000 * 50 = $150k Holdings, $25k Cash: $175k. MSFT is 86% of holdings.
// //Calculate the order for 50% MSFT:
// var actual = algo.CalculateOrderQuantity(Symbols.MSFT, 0.5m);
// //Need to sell to 50% = 87.5k target from $150k = 62.5 / $50-share = 1250
// Assert.AreEqual(-1250, actual);
//}
//[Test]
//public void SetHoldings_LongToShort_PriceRise()
//{
// var algo = GetAlgorithm();
// //Set price to $25
// Update(msft, 25));
// //Half cash spent on 2000 MSFT shares.
// algo.Portfolio.SetCash(50000);
// algo.Portfolio[Symbols.MSFT].SetHoldings(25, 2000);
// //Price rises to $50.
// Update(msft, 50));
// //Now: 2000 * 50 = $100k Holdings, $50k Cash: $150k. MSFT is 66% of holdings.
// var actual = algo.CalculateOrderQuantity(Symbols.MSFT, -0.5m);
// // Need to hold -75k from $100k = delta: $175k / $50-share = -3500 shares.
// Assert.AreEqual(-3500, actual);
//}
//[Test]
//public void SetHoldings_ShortToShorter_PriceRise()
//{
// var algo = GetAlgorithm();
// //Set price to $25
// Update(msft, 25));
// //Half cash spent on -2000 MSFT shares.
// algo.Portfolio.SetCash(50000);
// algo.Portfolio[Symbols.MSFT].SetHoldings(25, -2000);
// //Price rises to $50.
// Update(msft, 50));
// //Now: 2000 * 50 = $0k Net Holdings, $50k Cash: $50k. MSFT is 0% of holdings.
// var actual = algo.CalculateOrderQuantity(Symbols.MSFT, -0.75m);
// //Want to hold -75% of MSFT: 50k total, -37.5k / $50-share = -750 TOTAL.
// // Currently -2000, so net order +1250.
// Assert.AreEqual(1250, actual);
//}
//[Test]
//public void SetHoldings_ShortToLong_PriceRise()
//{
// var algo = GetAlgorithm();
// //Set price to $25
// Update(msft, 25));
// //Half cash spent on -2000 MSFT shares.
// algo.Portfolio.SetCash(50000);
// algo.Portfolio[Symbols.MSFT].SetHoldings(25, -2000);
// //Price rises to $50.
// Update(msft, 50));
// //Now: 2000 * 50 = $0k Net Holdings, $50k Cash: $50k. MSFT is 0% of holdings.
// var actual = algo.CalculateOrderQuantity(Symbols.MSFT, 0.5m);
// //We want to be 50% long, this is currently +2000 holdings + 50% 50k = $25k/ $50-share=500
// Assert.AreEqual(2500, actual);
//}
private QCAlgorithm GetAlgorithm(out Security msft, decimal leverage, decimal fee)
{
//Initialize algorithm
var algo = new QCAlgorithm();
algo.AddSecurity(SecurityType.Equity, "MSFT");
algo.SetCash(100000);
algo.Securities[Symbols.MSFT].TransactionModel = new ConstantFeeTransactionModel(fee);
msft = algo.Securities[Symbols.MSFT];
msft.SetLeverage(leverage);
return algo;
}
/// <summary>
/// Initializes a new instance of the <see cref="UniverseDefinitions"/> class
/// </summary>
/// <param name="algorithm">The algorithm instance, used for obtaining the default <see cref="UniverseSettings"/></param>
public UniverseDefinitions(QCAlgorithm algorithm)
{
DollarVolume = new DollarVolumeUniverseDefinitions(algorithm);
}
public void SetHoldings_Long_ToZero_RoundOff()
{
var algo = new QCAlgorithm();
algo.AddSecurity(SecurityType.Forex, "EURUSD");
algo.SetCash(10000);
algo.SetBrokerageModel(BrokerageName.FxcmBrokerage);
algo.Securities[Symbols.EURUSD].TransactionModel = new ConstantFeeTransactionModel(0);
Security eurusd = algo.Securities[Symbols.EURUSD];
// Set Price to $25
Update(eurusd, 25);
// So 10000/25 = 400, After Rounding off becomes 0
var actual = algo.CalculateOrderQuantity("EURUSD", 1m);
Assert.AreEqual(0m, actual);
}
/// <summary>
/// Initializes a new instance of the <see cref="UniverseDefinitions"/> class
/// </summary>
/// <param name="algorithm">The algorithm instance, used for obtaining the default <see cref="UniverseSettings"/></param>
public UniverseDefinitions(QCAlgorithm algorithm)
{
_algorithm = algorithm;
DollarVolume = new DollarVolumeUniverseDefinitions(algorithm);
}
/// <summary>
/// Initializes a new instance of the <see cref="IndexUniverseDefinitions"/> class
/// </summary>
/// <param name="algorithm">The algorithm instance, used for obtaining the default <see cref="UniverseSettings"/></param>
public IndexUniverseDefinitions(QCAlgorithm algorithm)
{
_algorithm = algorithm;
}
/// <summary>
/// Parameter constructor to inject the algorithm to report from
/// </summary>
/// <param name="algorithm">the algorithm running</param>
public TradeBarReporter(QCAlgorithm algorithm)
{
_algorithm = algorithm;
_logHandler = Composer.Instance.GetExportedValueByTypeName<ILogHandler>("CustomFileLogHandler");
HasPrintedHeading = false;
}
//[Test]
//public void SetHoldings_LongToLonger_PriceRise()
//{
// var algo = GetAlgorithm();
// //Set price to $25
// Update(msft, 25));
// //Half cash spent on 2000 MSFT shares.
// algo.Portfolio.SetCash(50000);
// algo.Portfolio["MSFT"].SetHoldings(25, 2000);
// //Price rises to $50.
// Update(msft, 50));
// //Now: 2000 * 50 = $100k Holdings, $50k Cash: $150k. MSFT is already 66% of holdings.
// //Calculate the order for 75% MSFT:
// var actual = algo.CalculateOrderQuantity("MSFT", 0.75m);
// //Need to buy to make position $112.5k == $12.5k / 50 = 250 shares
// Assert.AreEqual(250, actual);
//}
//[Test]
//public void SetHoldings_LongerToLong_PriceRise()
//{
// var algo = GetAlgorithm();
// //Set price to $25
// Update(msft, 25));
// //75% cash spent on 3000 MSFT shares.
// algo.Portfolio.SetCash(25000);
// algo.Portfolio["MSFT"].SetHoldings(25, 3000);
// //Price rises to $50.
// Update(msft, 50));
// //Now: 3000 * 50 = $150k Holdings, $25k Cash: $175k. MSFT is 86% of holdings.
// //Calculate the order for 50% MSFT:
// var actual = algo.CalculateOrderQuantity("MSFT", 0.5m);
// //Need to sell to 50% = 87.5k target from $150k = 62.5 / $50-share = 1250
// Assert.AreEqual(-1250, actual);
//}
//[Test]
//public void SetHoldings_LongToShort_PriceRise()
//{
// var algo = GetAlgorithm();
// //Set price to $25
// Update(msft, 25));
// //Half cash spent on 2000 MSFT shares.
// algo.Portfolio.SetCash(50000);
// algo.Portfolio["MSFT"].SetHoldings(25, 2000);
// //Price rises to $50.
// Update(msft, 50));
// //Now: 2000 * 50 = $100k Holdings, $50k Cash: $150k. MSFT is 66% of holdings.
// var actual = algo.CalculateOrderQuantity("MSFT", -0.5m);
// // Need to hold -75k from $100k = delta: $175k / $50-share = -3500 shares.
// Assert.AreEqual(-3500, actual);
//}
//[Test]
//public void SetHoldings_ShortToShorter_PriceRise()
//{
// var algo = GetAlgorithm();
// //Set price to $25
// Update(msft, 25));
// //Half cash spent on -2000 MSFT shares.
// algo.Portfolio.SetCash(50000);
// algo.Portfolio["MSFT"].SetHoldings(25, -2000);
// //Price rises to $50.
// Update(msft, 50));
// //Now: 2000 * 50 = $0k Net Holdings, $50k Cash: $50k. MSFT is 0% of holdings.
// var actual = algo.CalculateOrderQuantity("MSFT", -0.75m);
// //Want to hold -75% of MSFT: 50k total, -37.5k / $50-share = -750 TOTAL.
// // Currently -2000, so net order +1250.
// Assert.AreEqual(1250, actual);
//}
//[Test]
//public void SetHoldings_ShortToLong_PriceRise()
//{
// var algo = GetAlgorithm();
// //Set price to $25
// Update(msft, 25));
// //Half cash spent on -2000 MSFT shares.
// algo.Portfolio.SetCash(50000);
// algo.Portfolio["MSFT"].SetHoldings(25, -2000);
// //Price rises to $50.
// Update(msft, 50));
// //Now: 2000 * 50 = $0k Net Holdings, $50k Cash: $50k. MSFT is 0% of holdings.
// var actual = algo.CalculateOrderQuantity("MSFT", 0.5m);
// //We want to be 50% long, this is currently +2000 holdings + 50% 50k = $25k/ $50-share=500
// Assert.AreEqual(2500, actual);
//}
private QCAlgorithm GetAlgorithm(out Security msft, decimal fee = 0)
{
//Initialize algorithm
var algo = new QCAlgorithm();
algo.AddSecurity(SecurityType.Equity, "MSFT");
algo.SetCash(100000);
algo.Securities["MSFT"].TransactionModel = new ConstantFeeTransactionModel(fee);
msft = algo.Securities["MSFT"];
return algo;
}
/// <summary>
/// Parameter constructor to inject the algorithm to report from
/// </summary>
/// <param name="algorithm">the algorithm running</param>
public CustomDataBarReporter(QCAlgorithm algorithm)
{
_algorithm = algorithm;
_logHandler = Composer.Instance.GetExportedValueByTypeName<ILogHandler>("DailyFileLogHandler");
}
